QUICK US SUMMARY

• Yield curve flattening, with the 1Y-10Y spread tightening -4.3 bp on the day, now at 151.9 bp (YTD change: +71.5)
• 1Y: 0.0410% (unchanged 0.0 bp)
• 2Y: 0.1453% (down 0.6 bp)
• 5Y: 0.7743% (down 2.9 bp)
• 7Y: 1.2217% (down 4.0 bp)
• 10Y: 1.5604% (down 4.3 bp)
• 30Y: 2.2526% (down 4.8 bp)
• Strong 2-year treasury notes auction: some market participants speculating that the excess cash (sitting in repo & bills) is spilling over into the front-end of the coupon curve

US MACRO RELEASES

• Building Permits for Apr 2021 (U.S. Census Bureau) at 1,760K, , below consensus estimate of 1,770K
• Building Permits, Change P/P for Apr 2021 (U.S. Census Bureau) at -1.3
• Chain Store Sales, Johnson Redbook Index, yoy% index, Change Y/Y for W 22 May (Redbook Research) at 13.6
• Conference Board, Consumer confidence for May 2021 (The Conference Board) at 117.2, below consensus estimate of 119.2
• House Prices, FHFA, USA (Purchase-Only) for Mar 2021 (OFHEO, United States) at 324.9
• House Prices, FHFA, USA (Purchase-Only), Change P/P for Mar 2021 (OFHEO, United States) at 1.4
• House Prices, FHFA, USA (Purchase-Only), Change Y/Y for Mar 2021 (OFHEO, United States) at 13.9
• House Prices, S&P Case-Shiller, Composite-20, Change P/P for Mar 2021 (Standard & Poor's) at 1.6, above consensus estimate of 1.2
• House Prices, S&P Case-Shiller, Composite-20, Change P/P, Price Index for Mar 2021 (Standard & Poor's) at 2.2
• House Prices, S&P Case-Shiller, Composite-20, Change Y/Y, Price Index for Mar 2021 (Standard & Poor's) at 13.3, above consensus estimate of 12.3
• New Home Sales for Apr 2021 (U.S. Census Bureau) at 0.9, below consensus estimate of 1.0
• New Home Sales, Change P/P for Apr 2021 (U.S. Census Bureau) at -5.9
• Richmond Fed Manufacturing, Manufacturing Index for May 2021 (FED, Richmond) at 18.0, below consensus estimate of 19.0
• Richmond Fed Manufacturing, Shipments, current conditions for May 2021 (FED, Richmond) at 12.0
• Richmond Fed Services, Revenues for May 2021 (FED, Richmond) at 29.0

US FORWARD RATES

• 3-month USD Libor 5 years forward down 6.8 bp
• US Treasury 1-year zero-coupon rate 5 years forward down 6.1 bp, now at 2.2267%, meaning that short-term rates are now expected to increase by 216.7 bp over the next 5 years (down from 236bp two weeks ago)

US INFLATION

• TIPS 1Y breakeven inflation at 3.32% (up 1.1bp); 2Y at 2.91% (up 0.0bp); 5Y at 2.66% (down -2.0bp); 10Y at 2.43% (down -1.2bp); 30Y at 2.32% (down -0.4bp)
• 6-month spot US CPI swap down -0.8 bp to 3.896%, with a steepening of the forward curve

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) up 0.8% at 64.7%
• 3-Month LIBOR-OIS spread down -1.0 bp at 7.5 bp (12-months range: 7.5-33.4 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.563% (down -2.2 bp); the German 1Y-10Y curve is 1.9 bp flatter at 46.6bp (YTD change: +32.3 bp)
• Japan 5Y: -0.087% (down -0.3 bp); the Japanese 1Y-10Y curve is 0.2 bp flatter at 20.5bp (YTD change: +5.5 bp)
• China 5Y: 2.898% (up 0.5 bp); the Chinese 1Y-10Y curve is 1.3 bp flatter at 53.3bp (YTD change: +6.9 bp)
• Switzerland 5Y: -0.498% (down -2.0 bp); the Swiss 1Y-10Y curve is 1.5 bp flatter at 56.5bp (YTD change: +32.1 bp)